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OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response....... 5.0
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21581
---------------------------------------------
JPmorgan Securities Lending Collateral Investment Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, NY 10036
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
J.P. Morgan Investor Services Co., 73 Tremont Street, Boston, MA 02108
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-766-7722
----------------------------
Date of fiscal year end: December 31, 2004
--------------------------
Date of reporting period: May 14, 2004 through December 31, 2004 (Trust
------------------------------------------------------
commenced operations on May 14, 2004)
--------------------------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
ANNUAL REPORT DECEMBER 31, 2004
JPMORGAN FUNDS
SECURITIES LENDING COLLATERAL INVESTMENT FUND
[JPMORGAN ASSET MANAGEMENT LOGO]
<Page>
CONTENTS
<Table>
President's Letter 1
Fund Facts 3
Portfolio of Investments 4
Financial Statements 6
Notes to Financial Statements 9
Financial Highlights 13
Report of Independent Registered
Public Accounting Firm 14
Schedule of Shareholder Expenses 15
Trustee and Officer Information 16
</Table>
JPMORGAN ASSET MANAGEMENT is a premier global wealth manager that has been
working with affluent investors for over a hundred years. This experience
provides us with a keen understanding of the unique needs of the affluent
investor's portfolio. The legacy of our experience, coupled with our GLOBAL
INTELLECTUAL CAPITAL, is the foundation from which our investment products have
been built. We have a worldwide investment presence. This local insight provides
us with a global view of every investment decision we make which we believe is
crucial in light of the ever-increasing rise of globalization in our
marketplace. JPMorgan Asset Management is an EXPERIENCED PARTNER dedicated to
working with your financial professional to help provide you with a broad array
of WEALTH SOLUTIONS.
IMPORTANT FUND FAMILY UPDATE
As shareholders of the JPMorgan Funds, we hope you share our enthusiasm
regarding our 'new' fund family resulting from the successful integration of the
former JPMorgan Funds and One Group Funds, effective February 19, 2005. Over the
next few weeks and months, you will be hearing more about our integration, and
our newly combined fund family. As we continue to integrate the two
organizations our dedication to our investors remains steadfast.
Investments in a Fund are not bank deposits or obligations of, or guaranteed or
endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal
Reserve Board or any other government agency. You could lose money if you sell
when the Fund's share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market
views expressed in this report are opinions based on current market conditions
and are subject to change without notice. These views are not intended to
predict the future performance of a Fund or the securities markets. References
to specific securities and their issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to
purchase or sell such securities. Such views are not meant as investment advice
and may not be relied on as an indication of trading intent on behalf of any
Fund.
Prospective investors should refer to the Fund's prospectus for a discussion of
the Fund's investment objective, strategies and risks. Call JPMorgan Funds
Service Center at (212) 623-0551 for a prospectus containing more complete
information about a Fund including management fees and other expenses. Please
read it carefully before investing.
<Page>
JPMORGAN SECURITIES LENDING
COLLATERAL INVESTMENT FUND
PRESIDENT'S LETTER JANUARY 19, 2005
DEAR SHAREHOLDER:
We are pleased to present this annual report for the JPMorgan Securities Lending
Collateral Investment Fund for the one-year period ending December 31, 2004.
Inside you'll find in-depth information on the Portfolio, along with an update
from the Portfolio management team.
U.S. ECONOMY MAINTAINS A PATTERN OF GROWTH
In the opening months of 2004, the U.S. economy showed increasing strength as
the gross domestic product (GDP) grew near 4%. The economic news, however, was
mixed. Although industrial production rose and corporate profits improved, the
employment picture did not brighten. Consumer confidence wavered but consumer
spending increased, fueled by tax refunds and the mortgage-refinancing boom.
Core inflation rose slightly. The Federal Reserve Board indicated that it would
maintain an accommodative monetary policy until economic conditions warranted a
change.
That change came during the spring when sharply improved economic conditions --
and an uptick in inflation -- changed expectations about Fed action. Stronger
labor conditions and an increase in pretax income also suggested that the growth
in consumer spending could continue without monetary stimulus. In response, the
Fed raised short-term interest rates by a quarter-percent to 1.25%, suggesting
that it would embark upon a program of measured rate increases.
The U.S. economy continued to perform strongly during the third quarter with the
GDP growing 3.9%. The greatest disappointment was job creation, which was weaker
than earlier in the year. Core inflation, however, slowed from 3.3% in May to 1%
by August.
THE FED TAKES MEASURED APPROACH TO INTEREST-RATE INCREASES
As expected, the Fed raised short-term interest rates steadily and in small
increments during the late summer and fall. In August and again in September, it
tightened rates by a quarter percent, moving the fed funds rate (the rate
charged by banks for overnight loans) to 1.75%.
Meanwhile, the economy continued to expand, despite a brief soft spot caused by
high oil prices. GDP growth appeared to accelerate slightly during the fourth
quarter. Retail sales registered gains and durable goods orders advanced,
suggesting that business spending was helping to drive the economic expansion.
The housing market remained robust, and inflation trended near 1.5%. The Fed
1
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raised rates two more times, reaffirming its commitment to measured tightening
in response to changes in economic prospects. At the end of 2004, the fed funds
rate stood at 2.25%.
In the months ahead, your portfolio managers will continue to work hard on your
behalf. They will look for opportunities to obtain the highest possible yields
while focusing on the preservation of your principal.
On behalf of all of us at JPMorgan Asset Management, thank you for your
business. We appreciate the trust you have placed in us, and look forward to
serving your investment needs for many years to come.
Sincerely,
/s/ George C.W. Gatch
George C.W. Gatch
President
JPMorgan Funds
2
<Page>
JPMORGAN SECURITIES LENDING
COLLATERAL INVESTMENT FUND
As of December 31, 2004
FUND FACTS
<Table>
Objective MAXIMIZE CURRENT INCOME CONSISTENT WITH THE
PRESERVATION OF CAPITAL AND SAME-DAY LIQUIDITY
Primary investments HIGH QUALITY, SHORT-TERM, U.S. DOLLAR DENOMINATED
MONEY MARKET INSTRUMENTS
Suggested investment time frame SHORT-TERM
Net Assets $360.0 MILLION
Average Maturity 37 DAYS
S&P rating* AAAm
Moody's rating* Aaa
</Table>
* This rating is historical and is based upon the Fund's credit quality, market
price exposure and management.
S&P has assigned the fund a rating of AAAm, which means safety is excellent and
there is a superior capacity to maintain principal value and limit exposure to
loss.
MATURITY SCHEDULE
<Table>
1 day 0.0%
2-7 days 31.1%
8-30 days 25.1%
31-60 days 15.0%
61-90 days 11.6%
91-180 days 11.9%
181+ days 5.3%
</Table>
7-DAY SEC YIELD(1)
<Table>
2.30%
</Table>
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE
RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN
REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. PLEASE NOTE, CURRENT
PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. INVESTORS
SHOULD CAREFULLY READ THE FUND'S PROSPECTUS WHICH INCLUDES INFORMATION ON THE
FUND'S INVESTMENT OBJECTIVE, RISK, AS WELL AS CHARGES AND EXPENSES ALONG WITH
OTHER INFORMATION.
INVESTORS SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS CAREFULLY BEFORE
INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR TO RECEIVE A
FUND'S PROSPECTUS PLEASE CALL (212) 623-0551. PLEASE READ CAREFULLY BEFORE
INVESTING OR SENDING MONEY. ALTHOUGH MONEY MARKET FUNDS STRIVE TO PRESERVE THE
VALUE OF THE INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY
INVESTING IN A MONEY MARKET FUND.
(1) The yield reflects the reimbursements or waivers of certain expenses.
Without these subsidies, the yield would have been 2.04%.
A list of prior-day portfolio holdings of the JPMorgan Securities Lending
Collateral Investment Fund is now available upon request. Please contact your
JPMorgan representative to obtain further information regarding this Fund and
information on holdings.
(UNAUDITED)
3
<Page>
JPMORGAN SECURITIES LENDING
COLLATERAL INVESTMENT FUND
Portfolio of Investments
As of December 31, 2004
(Amounts in thousands)
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
----------------------------------------------------------------------------------------------
Money Market Instruments -- 100.0%
U.S. Government Agency Securities -- 4.2%
$ 15,000 Federal National Mortgage Association,
2.07%, 2/15/05, MTN $ 15,091
(Cost $15,091)
Corporate Notes & Bonds -- 8.1%
9,000 Fleet Boston Financial Corp., 2.66%, 8/24/2005, FRN 9,019
10,000 HSBC Finance Corp., 2.80%, 6/17/2005, FRN 10,014
10,000 K2 (USA) LLC, 2.33%, 12/12/2005, FRN, # 9,997
--------------------------------------------------------------------------------
Total Corportate Notes & Bonds 29,030
(Cost $29,030)
--------------------------------------------------------------------------------
Commercial Paper -- 49.7% (1)
10,000 Aquinas Funding LLC, 2.06%, 1/21/2005 9,989
10,000 ASAP Funding Ltd., 2.39%, 1/28/2005 9,982
7,500 Atlantis One Funding, 1.81%, 1/10/2005 7,497
5,000 Banque Generale du Luxembourg, 2.45%, 3/18/2005 4,974
12,000 Beta Finance, Inc., 2.02%, 3/7/2005 11,957
14,000 Charta LLC, 2.22%, 2/8/2005 13,967
4,000 Citigroup Global Market Holdings, 2.57%, 6/2/2005 3,957
10,000 Compass Securitization LLC, 2.37%, 1/24/2005 9,985
8,000 Concord Minutemen LLC, 2.45%, 3/8/2005 7,964
14,000 Crown Point Capital Co., 2.37%, 1/25/2005 13,978
14,000 Dakota Notes (Citibank Credit Card Issuance Trust),
2.20%, 1/13/2005 13,990
14,000 FCAR Owner Trust, 2.44%, 5/3/2005 13,886
General Electric Capital Corp.,
7,000 2.37%, 3/23/2005 6,963
5,000 2.46%, 5/16/2005 4,955
15,000 Intesa Funding LLC, 2.34%, 1/28/2005 14,974
10,000 Lake Constance Funding LLC, 2.36%, 1/19/2005 9,988
10,000 Mont Blanc Capital Corp. 2.45%, 3/14/2005 9,951
10,000 Santander Centeral Hispano Finance Services
Ltd., 2.57%, 6/1/2005 9,893
--------------------------------------------------------------------------------
Total Commercial Paper 178,850
(Cost $178,850)
--------------------------------------------------------------------------------
Certificates of Deposit -- 6.9%
10,000 Citibank N.A., 2.31%, 2/24/2005 10,000
5,000 HBOS Treasury Services PLC, 1.90%, 2/9/2005 5,000
10,000 Natexis Banques Populaires, 2.05%, 2/2/2005 10,000
--------------------------------------------------------------------------------
Total Certificates of Deposit 25,000
(Cost $25,000)
--------------------------------------------------------------------------------
</Table>
See notes to financial statements.
4
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT ISSUER VALUE
----------------------------------------------------------------------------------------------
Money Market Instruments -- Continued
Repurchase Agreements -- 31.1%
$ 57,171 Greenwich Capital Markets, Inc., 2.29%,
dated 12/31/04, due 01/03/05,
repurchase price $57,182, collateralized
by corporate collateralized mortgage obligations $ 57,171
55,000 Morgan Stanley & Co., Inc., 2.25%, dated 12/31/04,
due 01/03/05, repurchase price $55,010,
collateralized by U.S. Government Agency Securities 55,000
--------------------------------------------------------------------------------
Total Repurchase Agreements 112,171
(Cost $112,171)
----------------------------------------------------------------------------------------------
Total Investments -- 100.0% 360,142
(Cost $360,142)*
Liabilities in Excess of Other Assets -- (0.0%)^ (142)
----------------------------------------------------------------------------------------------
Net Assets -- 100% $ 360,000
----------------------------------------------------------------------------------------------
</Table>
(1) -- The rate shown is the effective yield at the date of purchase.
* -- The cost of securities is substantially the same for federal income
tax purposes.
^ -- Amount rounds to less than 0.1%
# -- All or a portion of this security is a 144A or private placement
security and can only be sold to qualified institutional buyers.
FRN -- Floating Rate Note. The maturity date shown is the actual maturity
date. The rate shown is the rate in effect at December 31, 2004.
MTN -- Medium Term Note. The rate shown is the effective yield at the date
of purchase.
See notes to financial statements.
5
<Page>
JPMORGAN SECURITIES LENDING
COLLATERAL INVESTMENT FUND
Statement of Assets and Liabilities
As of December 31, 2004
<Table>
<Caption>
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
- --------------------------------------------------------------------------------------------
ASSETS:
Investments in securities, at value $ 247,971
Repurchase agreements, at value 112,171
Cash --^
Receivables:
Interest 548
Due from affiliates 18
- --------------------------------------------------------------------------------------------
Total Assets 360,708
- --------------------------------------------------------------------------------------------
LIABILITIES:
Payable:
Dividends 645
Accrued liabilities:
Investment advisory fees 6
Transfer agent fees 5
Custodian and accounting fees 4
Trustees' fees --^
Other 48
- --------------------------------------------------------------------------------------------
Total Liabilities 708
- --------------------------------------------------------------------------------------------
NET ASSETS:
Paid in capital 360,000
Accumulated net realized gain (loss) on investments --^
- --------------------------------------------------------------------------------------------
Total Net Assets $ 360,000
- --------------------------------------------------------------------------------------------
Shares of beneficial interest outstanding
($0.001 par value; unlimited number
of shares authorized) 360,000
Net asset value, offering and redemption price per share $ 1.00
- --------------------------------------------------------------------------------------------
Cost of investments $ 360,142
============================================================================================
</Table>
^ Amount rounds to less than one thousand.
See notes to financial statements.
6
<Page>
Statement of Operations
For the period from May 14, 2004* to December 31, 2004
<Table>
<Caption>
(AMOUNTS IN THOUSANDS)
- --------------------------------------------------------------------------------------------
INTEREST INCOME: $ 3,300
- --------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 201
Administration fees 100
Insurance fees 80
Professional fees 42
Custodian and accounting fees 17
Transfer agent fees 14
Organization fees 12
Trustees' fees 10
Printing and postage 4
Other 25
- --------------------------------------------------------------------------------------------
Total expenses 505
- --------------------------------------------------------------------------------------------
Less investment advisory fees waived (161)
Less administration fees waived (100)
Less expenses reimbursed by affiliates (164)
- --------------------------------------------------------------------------------------------
Net expenses 80
- --------------------------------------------------------------------------------------------
Net investment income 3,220
- --------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 3,220
- --------------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
See notes to financial statements.
7
<Page>
Statement of Changes in Net Assets
For the period from May 14, 2004* to December 31, 2004
<Table>
<Caption>
(AMOUNTS IN THOUSANDS)
- --------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 3,220
- --------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (3,220)
- --------------------------------------------------------------------------------------------
Increase (decrease) from capital share transactions 360,000
- --------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 360,000
- --------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period --
- --------------------------------------------------------------------------------------------
End of period $ 360,000
- --------------------------------------------------------------------------------------------
Accumulated undistributed (overdistributed) net investment income $ --
============================================================================================
</Table>
* Commencement of operations.
See notes to financial statements.
8
<Page>
JPMORGAN SECURITIES LENDING
COLLATERAL INVESTMENT FUND
Notes to Financial Statements
1. ORGANIZATION
The JPMorgan Securities Lending Collateral Investment Trust (the "Trust"), was
organized on February 27, 2004 as a Massachusetts business trust and is
registered under the Investment Company Act of 1940, as amended, (the "1940
Act"), as a diversified, open-end management investment company. The Trust has
established one series of shares of beneficial interest representing interests
in the JPMorgan Securities Lending Collateral Investment Fund (the "Fund").
Shares of beneficial interest in the Trust are not registered under the
Securities Act of 1933, as amended (the "Securities Act"), because such shares
are issued solely in private placement transactions that do not involve a
"public offering" within the meaning of Section 4(2) of the Securities Act. The
shares have not been registered under any state securities laws in reliance upon
various exemptions provided by those laws. Investments in the shares of the
Trust may only be made by "accredited investors" within the meaning of
Regulation D under the Securities Act which include common or commingled trust
funds, investment companies, registered broker-dealers, investment banks,
commercial banks, corporations, group trusts or similar organizations or
entities.
JPMorgan Chase Bank, N.A. ("JPMCB"), an affiliate of JPMorgan Chase & Co.
(JPMorgan), has established a securities lending program for its clients. Each
client that participates in the securities lending program as a lender
("Lender") enters into a securities lending agreement under which JPMCB is
authorized to invest the cash collateral securing loans of securities of each
Lender in a variety of investments. The Fund has been established primarily for
the investment and reinvestment of cash collateral on behalf of Lenders
participating in the securities lending program.
2. SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
TRUST:
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
A. VALUATION OF INVESTMENTS -- Money market instruments are valued at amortized
cost, which approximates market value. The Trust's use of amortized cost is
subject to the Trust's compliance with certain conditions as specified under
Rule 2a-7 of the 1940 Act.
B. REPURCHASE AGREEMENTS -- The Fund may engage in repurchase agreement
transactions that are collateralized by money market instruments or corporate
9
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debt securities that, at the time the transaction is entered into, are rated at
least investment grade. The Fund may also engage in repurchase agreements that
are fully collateralized, primarily by U.S. Treasury and Government Agency
securities. All collateral is held by the Fund's custodian bank, subcustodian or
a bank with which the custodian bank has entered into a subcustodian agreement,
or is segregated in the Federal Reserve Book Entry System. In connection with
transactions in repurchase agreements, if the seller defaults and the value of
the collateral declines, realization of the collateral by the Fund may be
delayed or limited.
C. RESTRICTED AND ILLIQUID SECURITIES -- The Fund is permitted to invest in
securities that are subject to legal or contractual restrictions on resale or
are illiquid. Restricted securities generally may be resold in transactions
exempt from registration. A security may be considered illiquid if it lacks a
readily available market or if its valuation has not changed for a certain
period of time. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at the current valuation may be
difficult.
D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the
interest method adjusted for amortization of premiums and accretion of
discounts.
E. FEDERAL INCOME TAXES -- The Fund's policy is to comply with the provisions of
the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its distributable net investment income and
net realized gain on investments. In addition, the Fund intends to make
distributions as required to avoid excise taxes. Accordingly, no provision for
Federal income or excise tax is necessary.
F. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to
shareholders are recorded on the ex-dividend date. The amount of dividends and
distributions from net investment income and net realized capital gains is
determined in accordance with Federal income tax regulations, which may differ
from accounting principles generally accepted in the United States of America.
To the extent these "book/tax" differences are permanent in nature, (i.e., that
they result from other than timing of recognition -- "temporary differences"),
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment.
3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement, JP
Morgan Investment Management, Inc. ("JPMIM" or the "Advisor") acts as the
investment advisor to the Fund. JPMIM is a wholly owned subsidiary of JP Morgan
Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of
JPMorgan Chase & Co. The Fund pays JPMIM an investment advisory fee equal to
0.10% of its average daily net assets. The Advisor has
10
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agreed to waive a portion of its investment advisory fee for a period of one
year from the commencement of the Fund's operations on May 14, 2004 so that the
fee equals 0.02% of the Fund's average daily net assets during that period.
B. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and
accounting services for the Fund. Compensation for such services is presented in
the Statement of Operations as custodian and accounting fees. The custodian and
accounting fees may be reduced by credits earned by the Fund, based on the
uninvested cash balances held by the custodian. Such earning credits, if any,
are presented separately in the Statement of Operations.
C. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the
"Administrator") provides certain administration services and oversees the
Fund's service providers. In consideration of these services, the Administrator
receives a fee computed daily and paid monthly at the annual rate of 0.05% of
the Fund's average daily net assets. For a period of one year from the
commencement of the Fund's operations on May 14, 2004, the Administrator has
agreed to waive its fee and/or reimburse the Fund to the extent that total
operating expenses (excluding interest, taxes and extraordinary expenses) exceed
0.04% of the Fund's average daily net assets. Neither the Fund's service
providers nor the Administrator expect the Fund to repay any such waived fees
and reimbursed expenses in future years. J.P. Morgan Investor Services Co.
("JPMIS"), an affiliate of the Advisor, serves as the Fund's sub-administrator.
For its services as sub-administrator, JPMIS is compensated by JPMCB. In
addition, JPMIS serves as the Fund's transfer and dividend disbursing agent. For
transfer agency services, JPMIS receives an annual fee of $20,000.
D. DISTRIBUTION ARRANGEMENTS -- JPMCB serves as Placement Agent for the Fund and
is responsible for qualifying Lenders as suitable investors in the Fund and
facilitating the purchase and redemption of shares of the Fund in connection
with its role as securities lending agent on behalf of Lenders. JPMCB receives
no compensation in connection with its provision of services as Placement Agent.
E. OTHER -- Certain officers of the Trust are officers of JPMorgan or their
subsidiaries. A majority of the Board of Trustees of the Trust are not
affiliated with JPMorgan, JPMIM or the Administrator.
4. FEDERAL TAX MATTERS
The tax character of distributions paid during the period ended December 31,
2004 was ordinary income.
5. ORGANIZATION AND/OR OFFERING COSTS
The Fund has incurred $12,023 in organizational costs associated with the
opening of the Fund, and presented separately in the Statement of Operations.
6. CONCENTRATIONS AND INDEMNIFICATIONS
From time to time, the Fund may have a concentration of several shareholders
which may be related parties, holding a significant percentage of shares
11
<Page>
outstanding. Investment activities of these shareholders could have a material
impact on the Fund. As of December 31, 2004, one shareholder held approximately
14% of the shares outstanding in the Fund.
As of December 31, 2004, the Fund invested 95.8% of total investments in
securities issued by institutions in the financial services industry including
banks, broker dealers and insurance companies. General economic conditions, as
well as exposure to credit losses arising from possible financial difficulties
of borrowers, play an important role in the operation of the financial services
industry.
In the normal course of business, the Fund enters into contracts that contain a
variety of representations, which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against the Fund that have not yet occurred.
However, the Fund expects the risk of loss to be remote.
7. CORPORATE EVENT
On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at
separate meetings, their respective shareholders had approved the merger of the
two companies. The companies completed the merger of their holding companies on
July 1, 2004. Effective July 20, 2004, the name of the holding company changed
to JPMorgan Chase & Co.
8. CAPITAL SHARE TRANSACTIONS
Capital Share transactions were as follows for the period presented (amounts in
thousands):
<Table>
<Caption>
MAY 14, 2004* TO
DECEMBER 31, 2004
- -----------------------------------------------------------------------------------------
AMOUNT SHARES
- -----------------------------------------------------------------------------------------
Shares sold $ 699,500 699,500
Shares issued in reinvestment of distributions --^ --^
Shares redeemed (339,500) (339,500)
- -----------------------------------------------------------------------------------------
Net increase (decrease) in Fund shares outstanding $ 360,000 360,000
- -----------------------------------------------------------------------------------------
</Table>
* Commencement of operations.
^ Amount rounds to less than one thousand.
12
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JPMORGAN SECURITIES LENDING COLLATERAL INVESTMENT FUND
Financial Highlights for the period from May 14, 2004** to December 31, 2004
<Table>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00
Income from investment operations:
Net investment income 0.01
Less dividends from net investment income (0.01)
----------
Net asset value, end of period $ 1.00
- -------------------------------------------------------------------------------------------------------
TOTAL RETURN (a) 0.95%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions) $ 360
- -------------------------------------------------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS: #
Net expenses 0.04%
- -------------------------------------------------------------------------------------------------------
Net investment income 1.60%
- -------------------------------------------------------------------------------------------------------
Expenses without waivers and reimbursements 0.25%
- -------------------------------------------------------------------------------------------------------
Net investment income without waivers and reimbursements 1.39%
- -------------------------------------------------------------------------------------------------------
</Table>
** Commencement of operations.
(a) Not annualized for periods less than one year.
# Short periods have been annualized.
13
<Page>
JPMORGAN SECURITIES LENDING
COLLATERAL INVESTMENT FUND
Report of Independent Registered Public Accounting Firm
To the Trustees and Shareholders of
JPMorgan Securities Lending Collateral Investment Trust
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of JPMorgan Securities Lending
Collateral Investment Fund (hereafter referred to as the "Fund") at December 31,
2004, and the results of its operations, the changes in its net assets and the
financial highlights for the period May 14, 2004 (commencement of operations)
through December 31, 2004, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audit. We conducted our audit
of these financial statements in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audit, which included confirmation
of securities at December 31, 2004 by correspondence with the custodian and
brokers, provides a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2005
14
<Page>
JPMORGAN SECURITIES LENDING
COLLATERAL INVESTMENT FUND
Schedule of Shareholder Expenses (Unaudited)
Hypothetical $1,000 Investment at Beginning of Period
December 31, 2004
As a shareholder of the Fund, you incur ongoing costs, including investment
advisory, administration fees, distribution fees and other Fund expenses. The
examples below are intended to help you understand your ongoing costs (in
dollars) of investing in the Fund and to compare these costs with the ongoing
costs of investing in other mutual funds. The examples assume that you had a
$1,000 investment in the Fund at the beginning of the six-month reporting period
ended December 31, 2004 and continued to hold your shares at the end of the
reporting period, December 31, 2004.
ACTUAL EXPENSES
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the table below provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
the Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as sales
charges (loads) or redemption fees. Therefore, the second line in the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transaction costs were included, your costs would have been higher. The examples
also assume all dividends and distributions have been reinvested.
<Table>
<Caption>
EXPENSES PAID
BEGINNING ENDING DURING PERIOD
ACCOUNT ACCOUNT JULY 1,
VALUE, VALUE, 2004 TO ANNUALIZED
JULY 1, DECEMBER 31, DECEMBER 31, EXPENSE
2004 2004 2004* RATIO
- -----------------------------------------------------------------------------------
JPMorgan Securities
Lending
Collateral Investment
Fund $ 1,000 $ 1,009 $ 0.20 0.04%
Hypothetical $ 1,000 $ 1,025 $ 0.20 0.04%
</Table>
* Expenses are equal to the Fund's annualized expense ratio of 0.04% multiplied
by the average account value over the period, multiplied by 184/366 (to reflect
one half year period).
15
<Page>
JPMORGAN SECURITIES LENDING
COLLATERAL INVESTMENT FUND
Trustee and Officer Information (Unaudited)
The following tables contain basic information regarding the Trustees and
Officers, respectively, that oversee operations of the Fund and other investment
companies within the JPMorgan Funds complex.
<Table>
<Caption>
NUMBER OF OTHER
PRINCIPAL JPMORGAN DIRECTORSHIPS
POSITION(S) TERM OF OFFICE OCCUPATIONS PORTFOLIOS/FUNDS HELD OUTSIDE
NAME, CONTACT ADDRESS HELD WITH AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND
AND YEAR OF BIRTH THE TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX
- --------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
John F. Ruffle*; Trustee Since 2004 Retired; formerly 11 Trustee of John Hopkins
522 Fifth Avenue, Vice Chairman, University, Director of
New York, NY 10036; J.P. Morgan Chase & Reckson Associates
1937 Co. Inc. and Realty Corp. and
Morgan Guaranty American Shared
Trust Co. of NY Hospital Services
NON-INTERESTED TRUSTEES
Cheryl Ballenger; Trustee Since 2004 Mathematics 11 None
522 Fifth Avenue, Teacher, Vernon
New York, NY 10036; Hills High School
1956 (August 2004-
Present);
Mathematics
Teacher, Round
Lake High School
(2003-2004) and
formerly Executive
Vice President and
Chief Financial
Officer, Galileo
International Inc.
(travel technology)
Jerry B.Lewis#; Trustee Since 2004 Retired; formerly 11 None
522 Fifth Avenue, President, Lewis
New York, NY 10036; Investments Inc.
1939 (registered
investment
adviser);
previously, various
managerial and
executive positions
at Ford Motor
Company
(Treasurer's
Office,
Controller's
Office, Auditing
and Corporate
Strategy)
John R. Rettberg; Trustee Since 2004 Retired; formerly 11 None
522 Fifth Avenue, Corporate Vice
New York, NY 10036; President and
1937 Treasurer, Northrop
Grumman
Corporation
(defense
contractor)
Kenneth Whipple, Jr.; Trustee Since 2004 Chairman (1999- 11 Director of AB Volvo
522 Fifth Avenue, Present) and CEO and Korn Ferry
New York, NY 10036; (1999-2004), CMS International (executive
1934 Energy recruitment)
</Table>
* The Board has designated Mr. Ruffle an "interested person"at his request
because, until his retirement in 1993, he was an executive officer of the
parent company of the Trust's investment adviser.
# Effective December 15, 2004, Jerry B. Lewis became a Trustee.
16
<Page>
<Table>
<Caption>
TERM OF OFFICE
NAME, CONTACT ADDRESS POSITION(S) HELD AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH WITH THE TRUST TIME SERVED DURING PAST 5 YEARS
- ---------------------------------------------------------------------------------------------------------------------------
OFFICERS
George C.W. Gatch; President Since 2004 Managing Director, JPMIM, CEO and President
522 Fifth Avenue, of the J.P. Morgan and One Group Funds. An
New York, NY 10036; employee since 1986, Mr. Gatch leads the firm's
1962 U.S. mutual fund and financial intermediary
business. He was previously president and CEO
of DKB Morgan, a Japanese mutual fund company,
which was a joint venture between J.P.
Morgan and Dai-Ichi Kangyo Bank. Prior to
working in Japan, Mr. Gatch established
JPMIM's sub-advisory and institutional mutual
funds business. He has also held numerous
positions throughout the firm in business
management, marketing, and sales.
Robert L. Young; Senior Vice President Since 2004 Chief Operating Officer, JPMorgan Funds (August
522 Fifth Avenue, 2004 to present) and One Group Mutual Funds
New York, NY 10036; from November 2001 until present. From
1963 October 1999 to present, Vice President and
Treasurer, One Group Administrative Services,
Inc., and Vice President and Treasurer, One Group
Dealer Services, Inc.
Avram Stein; Senior Vice President Since 2004 Senior Vice President and Division Executive,
522 Fifth Avenue, JPMorgan Chase Bank Global Securities
New York, NY 10036; Lending.
1950
Patricia A.Maleski; Vice President and Since 2004 Vice President, JPMIM; Previously, Treasurer,
522 Fifth Avenue, Chief Administrative JPMorgan Funds and Head of Funds
New York, NY 10036; Officer Administration and Board Liaison. Prior to
1960 joining J.P. Morgan Chase & Co. in 2001, Ms. Maleski
was the Vice President of Finance for the Pierpont
Group, Inc., a service provider to the Board of
Directors/Trustees of the JPMorgan Funds.
Stephen M. Benham; Secretary Since 2004 Vice President and Assistant General Counsel,
522 Fifth Avenue, JPMIM since 2004; Vice President (Legal
New York, NY 10036; Advisory) of Merrill Lynch Investment
1959 Managers, L.P. from 2000 to 2004; Attorney
associated with Kirkpatrick & Lockhart LLP from
1997 to 2000.
Stephanie J. Dorsey; Treasurer Since 2004 Director of Mutual Fund Administration, One
522 Fifth Avenue, Group Administrative Services, since January 2004;
New York, NY 10036; Ms. Dorsey worked for Bank One Corporation
1969 (now known as JPMorgan Chase & Co.) from
January 2003 to January 2004; Prior to joining
Bank One Corporation, she was a Senior
Manager at PricewaterhouseCoopers LLP from
September 1992 through December 2002.
Gregory L. Pickard; Assistant Secretary Since 2004 Vice President and Associate General Counsel,
522 Fifth Avenue, J.P. Morgan Investor Services Co.; Associate
New York, NY 10036; Counsel and Assistant Vice President at Putnam
1965 Investments, 2000-2001; Associate Attorney at
Kirkpatrick & Lockhart LLP, 1998-2000.
Elizabeth A. Davin; Assistant Secretary Since 2004 From September 2004 to present, Senior
522 Fifth Avenue, Counsel, JPMorgan Chase & Co.; Prior to that
New York, NY 10036; Ms. Davin was Assistant General Counsel and
1964 then Associate General Counsel and Vice
President, Gartmore Global Investments, Inc.
from July 1999 to August 2004.
</Table>
17
<Page>
<Table>
<Caption>
TERM OF OFFICE
NAME, CONTACT ADDRESS POSITION(S) HELD AND LENGTH OF PRINCIPAL OCCUPATIONS
AND YEAR OF BIRTH WITH THE TRUST TIME SERVED DURING PAST 5 YEARS
- ---------------------------------------------------------------------------------------------------------------------------
Jessica K. Ditullio; Assistant Secretary Since 2004 From August 1990 to present, various attorney
522 Fifth Avenue, positions for Bank One Corporation (now
New York, NY 10036; known as JPMorgan Chase & Co.)
1962
Nancy E. Fields; Assistant Secretary Since 2004 From October 1999 to present, Director, Mutual
522 Fifth Avenue, Fund Administration, One Group Administrative
New York, NY 10036; Services, Inc. and Senior Project Manager,
1949 Mutual Funds, One Group Dealer Services, Inc.
From July 1999 to October 1999, Project
Manager, One Group, Banc One Investment
Advisors Corporation.
Avery P. Maher; Assistant Secretary Since 2004 Vice President and Assistant General Counsel,
522 Fifth Avenue, JPMIM since 2004; Second Vice President and
New York, NY 10036; Assistant Secretary of John Hancock Advisers, LLC
1949 from July 1992 through September 2004.
Christopher S. Martin; Assistant Treasurer Since 2004 Vice President and Senior Product Manager for
522 Fifth Avenue, Cash and Short-Term Investments in the
New York, NY 10036; JPMorgan Chase Bank Securities Lending and
1960 Investment Product Group
Christopher D. Walsh; Assistant Treasurer Since 2004 Vice President, JPMIM; Mr.Walsh manages all
522 Fifth Avenue, aspects of institutional and retail mutual fund
New York, NY 10036; administration and vendor relationships within
1965 the mutual funds, commingled/ERISA funds,
3(c)(7) funds, hedge funds and LLC products.
Prior to joining JPMorgan in 2000, he was a
director from 1996 to 2000 of Mutual Fund
Administration at Prudential Investments.
Paul M. DeRusso; Assistant Treasurer Since 2004 Vice President, JPMIM; Manager of the
522 Fifth Avenue, Budgeting and Expense Group of the Funds
New York, NY 10036; Administration Group.
1954
Mary D. Squires; Assistant Treasurer Since 2004 Vice President, JPMIM; Ms. Squires has held
522 Fifth Avenue, numerous financial and operations positions
New York, NY 10036; supporting the J.P. Morgan Chase organization
1955 complex.
Stephen M. Ungerman; Chief Compliance Since 2004 Vice President, JPMIM; Previously, head of Fund
522 Fifth Avenue, Officer Administration - Pooled Vehicles. Prior to joining
New York, NY 10036; J.P. Morgan Chase & Co., in 2000, he held a
1953 number of senior positions in Prudential
Financial's asset and management business,
including Associate General Counsel, Tax
Director and Co-head of Fund Administration
Department. Mr. Ungerman was also the
Assistant Treasurer of all mutual funds managed by
Prudential.
Thomas L.Smith; AML Officer Since 2004 Managing Director, Head of Compliance for
522 Fifth Avenue, J.P. Morgan Chase & Co.'s asset management
New York, NY 10036; business in the Americas.
1955
</Table>
Additional information concerning the Trustees is contained in the Statement of
Additional Information and is available without charge by calling (212)
623-0551.
18
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
THIS PAGE IS INTENTIONALLY LEFT BLANK
<Page>
ANNUAL REPORT
JPMorgan Chase and its respective affiliates receive compensation from JPMorgan
Funds for providing services to the Funds.
This report is submitted for the general information of the shareholders of the
Fund. It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by a prospectus.
INVESTORS SHOULD CAREFULLY READ THE FUND'S PROSPECTUS WHICH INCLUDES INFORMATION
ON THE FUND'S INVESTMENT OBJECTIVES, RISK, AS WELL AS CHARGES AND EXPENSES ALONG
WITH OTHER INFORMATION. INVESTOR SHOULD REVIEW THE INFORMATION IN THE PROSPECTUS
CAREFULLY BEFORE INVESTING. FOR UP TO DATE MONTH-END PERFORMANCE INFORMATION, OR
TO RECEIVE A FUND'S PROSPECTUS PLEASE CALL (212) 623-0551. PLEASE READ CAREFULLY
BEFORE INVESTING OR SENDING MONEY.
Not later than 60 days after the end of each fiscal quarter, the Fund will make
available a complete schedule of its portfolio holdings as of the last day of
that quarter, as filed in a certified filing with the SEC. In addition to
providing hard copies upon request, the Fund will post these quarterly schedules
on the SEC's website at www.sec.gov.
Shareholders may request portfolio holdings schedules at no charge by calling
(212) 623-0551.
A description of the Fund's policies and procedures with respect to the
disclosure of the Fund's portfolio holdings is available in the Statement of
Additional Information.
A copy of proxy policies and procedures are available without charge upon
request by calling (212) 623-0551 and on the Commission's website at
www.sec.gov. The Trustees have delegated the authority to vote proxies for
securities owned by the Fund to JPMIM. A copy of the Fund's voting record for
the period ended Decmber 31, 2004 is available on the SEC's website at
www.sec.gov. The Fund's proxy voting record will include, among other things, a
brief description of the matter voted on for each portfolio security, and will
state how each vote was cast, for example, for or against the proposal.
(C) JPMorgan Chase & Co., 2005 All Rights Reserved. February 2005
AN-SLCI-1204
<Page>
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the
registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or a
third party. If the registrant has not adopted such a code of ethics,
explain why it has not done so.
THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S
PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING
OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS.
THE REGISTRANT WILL PROVIDE TO ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY
OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-212-623-0551.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has determined
that the registrant either:
(i) Has at least one audit committee financial expert serving
on its audit committee; or
(ii) Does not have an audit committee financial expert serving
on its audit committee.
THE REGISTRANT'S BOARD OF TRUSTEES HAS DETERMINED THAT THE REGISTRANT HAS AT
LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit
committee financial expert and whether that person is "independent."
In order to be considered "independent" for purposes of this Item, a
member of an audit committee may not, other than in his or her
capacity as a member of the audit committee, the board of directors,
or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or
other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-
2(a)(19)).
THE AUDIT COMMITTEE FINANCIAL EXPERTS ARE CHERYL BALLENGER, JOHN R. RETTBERG,
KENNETH WHIPPLE, JR. AND JERRY B. LEWIS. EACH TRUSTEE IS A "NON-INTERESTED"
TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE
COMMISSION FOR PURPOSES OF AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS.
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an audit
committee financial expert.
NOT APPLICABLE.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES. The aggregate fee billed for each of the last two fiscal
years (the "Reporting Periods") for professional services rendered by the
principal accountant (the "Auditor") for the audit of the Registrant's annual
financial statements or services that are normally provided by the Auditor in
connection with statutory and regulatory filings or engagements for the
Reporting Periods, is $10,000 in 2004 (Trust commenced operations on May 14,
2004).
(b) AUDIT-RELATED FEES. There were no audit-related fees billed to the
Registrant during the Reporting Periods
The aggregate fee billed in the Reporting Periods for assurance and related
services by the Auditor to the Registrant's investment adviser (not including
any sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any entity
controlling, controlled by or under common control with the investment
adviser that provides ongoing services to the Registrant ("Service
Affiiates"), that was reasonably related to the performance of the annual
audit of the Service Affiliates, which required pre-approval by the Audit
Committee $8.945 million in 2004 (Trust commenced operations on May 14,
2004).
2
<Page>
(c) TAX FEES. The aggregate fee billed to the Registrant in the Reporting
Periods for professional services rendered by the Auditor for tax compliance,
tax advice, and tax planning ("Tax Services") was $0 in 2004 (Trust commenced
operations on May 14, 2004). These services consisted of review or preparation
of U.S. federal, state, local and excise tax returns.
There were no fees billed for Tax Services by the Auditor to Service
Affiliates which required pre-approval by the Audit Committee for the period
of May 14, 2004 through December 31, 2004 (Trust commenced operations on May
14, 2004).
(d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods
for products and services provided by the Auditor to the Registrant, or services
provided to Service Affiliates which were required to be pre-approved for the
period of May 14, 2004 through December 31, 2004 (Trust commenced operations on
May 14, 2004), other than the services reported above.
(e) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to
pre-approving any services to be provided by the Auditor to the Registrant, the
Audit Committee considers and approves any non-audit services to be provided to
the Service Affiliates by the Auditor (if the engagement relates directly to the
operations and financial reporting of the Registrant) and the fees to be charged
for such non-audit services. Pre-approval considerations include whether the
proposed services are compatible with maintaining the Auditor's independence.
The Chairman of the Audit Committee has been given the authority to pre-approve
permissible non-audit services.
(g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for
services rendered to the Registrant, and rendered to Service Affiliates, for the
last calendar year end was $25.3 million in 2004 (Trust commenced operations on
May 14, 2004).
(h) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered
whether the provision of non-audit services that were rendered to Service
Affiliates that were not pre-approved (not requiring pre-approval) is compatible
with maintaining the Auditor's independence. All services provided by the
Auditor to the Registrant or to Service Affiliates that were required to be
pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under
the Exchange Act (17CFR 240.10A-3), state whether or not the
registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange
Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a
committee, however designated, identify each committee member. If
the entire board of directors is acting as the registrant's audit
committee as specified in Section 3(a)(58)(B) of the Exchange Act
(15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d)
under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption
from the listing standards for all audit committees.
NOT APPLICABLE.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I - Investments in securities of unaffiliated issuers as
of the close of the reporting period as set forth in Section 210.12-12 of
Regulation S-X, unless the schedule is included as part of the report to
shareholders filed under Item 1 of this Form.
INCLUDED IN ITEM 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on
this Form N-CSR must, unless it invests exclusively in non-voting securities,
describe the policies and procedures that it uses to determine how to vote
proxies relating to portfolio securities, including the procedures that the
company uses when a vote presents a conflict between the interests of its
shareholders, on the one hand, and those of the company's investment adviser;
principal underwriter; or any affiliated person (as defined in Section 2(a)(3)
of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules
thereunder) of the company, its investment adviser, or its principal
underwriter, on the other. Include any policies and procedures of the company's
investment adviser, or any other third party, that the company uses, or that are
used on the company's behalf, to determine how to vote proxies relating to
portfolio securities.
3
<Page>
NOT APPLICABLE.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
NOT APPLICABLE.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company,
provide the information specified in paragraph (b) of this Item with
respect to any purchase made by or on behalf of the registrant or any
"affiliated purchaser," as defined in Rule 10b-18(a)(3) under the
Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any
class of the registrant's equity securities that is registered by the
registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
NOT APPLICABLE.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders
may recommend nominees to the registrant's board of directors, where
those changes were implemented after the registrant last provided
disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of
Schedule 14A (17 CFR 240.14a-101), or this Item.
NOT APPLICABLE.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
and principal financial officers, or persons performing similar functions,
regarding the effectiveness of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as
of a date within 90 days of the filing date of the report that includes the
disclosure required by this paragraph, based on the evaluation of these controls
and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE
CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND
PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT
THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO
ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR
IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS
AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS
THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE
REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL
FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED
DISCLOSURE.
(b) Disclose any change in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the
registrant's second fiscal half-year in the case of an annual report) that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING THAT OCCURRED DURING THE REGISTRANT'S SECOND FISCAL QUARTER OF THE
PERIOD COVERED BY THIS REPORT THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY
LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or
number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of
the disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit.
NOT APPLICABLE - SEE ITEM 2 ABOVE.
4
<Page>
(a)(2) A separate certification for each principal executive officer
and principal financial officer of the registrant as required by Rule 30a-2
under the Act (17 CFR 270.30a-2).
CERTIFICATIONS PURSUANT TO RULE 30A-2(a) UNDER THE INVESTMENT COMPANY ACT OF
1940 ARE ATTACHED HERETO.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1
under the Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons.
NOT APPLICABLE.
(b)A separate or combined certification for each principal executive
officer and principal officer of the registrant as required by Rule 30a-2(b)
under the Act of 1940.
CERTIFICATIONS PURSUANT TO RULE 30A-2(b) UNDER THE INVESTMENT COMPANY ACT OF
1940 ARE ATTACHED HERETO.
5
<Page>
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) JPMorgan Securities Lending Collateral Investment Trust
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephanie J. Dorsey
-------------------------------------------------------
Stephanie J. Dorsey, Treasurer
Date March 10, 2005
---------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Stephanie J. Dorsey
------------------------------------------------------
Stephanie J. Dorsey, Treasurer
Date March 10, 2005
---------------------------
By (Signature and Title)* /s/ George C.W. Gatch
------------------------------------------------------
George C.W. Gatch, President
Date March 10, 2005
---------------------------
* Print the name and title of each signing officer under his or her signature.
6